Book traversal links for E. Hedging Sets
E. Hedging Sets
C 52/2017 STA Effective from 1/4/2021Question E1: Can different floating rates within the same base currency be included in single hedging set?
Yes, for interest rate derivatives, all rates within one base currency should be included in a single hedging set.
Question E2: Is it possible to determine a hedging set in the absence of a netting set?
Yes, without a netting set, the hedging set would consist of a single transaction, and the add-on would be simply the effective notional amount of that one transaction.